I'm a huge fan of CDs for this reason. I know I'm getting perfect, uncompressed digital audio.
Ah, but you don't know! On Beck's Odelay Deluxe Edition release, for example, there are at least two tracks that came from a lossy source.
I don't think it's something that happens often. But through some combination of factors it has happened before, and probably happens more often than people might be aware.